Stratégie de cassure à double confirmation
ChaoZhang
Aperçu
La stratégie combine des signaux de rupture sur le cycle de 4 heures et le cycle de la ligne solaire, et vérifie la forme de la ligne K avant d’émettre un signal de transaction, permettant ainsi une stratégie de rupture plus fiable.
Principe de stratégie
La stratégie de double confirmation de rupture identifie les points de rupture les plus efficaces en combinant les signaux de rupture des cycles court et long, en tenant compte de la cohérence des tendances des cycles longs et courts. Plus précisément, la stratégie calcule une moyenne sur les cycles 4 heures et le jour, respectivement, générant un signal d’achat lorsque la moyenne des cycles courts dépasse la moyenne des cycles longs, et une rupture inverse générant un signal de vente.
Grâce à ces mécanismes de double confirmation et de filtrage des lignes K, il est possible d’éviter efficacement le risque de blocage de plusieurs têtes ou d’encombrement des têtes vides et d’améliorer la qualité des signaux de négociation.
Analyse des avantages
La rupture du double cycle de temps améliore la qualité du signal. La combinaison de 4 heures et de la ligne du jour confère au signal les avantages de suivre les tendances à court terme et de se référer aux tendances à long terme.
La vérification de la forme de la ligne K permet d’éviter les signaux erronés. La vérification de la forme avant l’émission du signal permet de filtrer les fausses ou les ruptures aléatoires, afin d’éviter les pertes.
Optimisation automatique, flexibilité et commodité. Les paramètres de rupture et de cycle de la stratégie peuvent être personnalisés et l’utilisateur peut choisir la meilleure combinaison de paramètres en fonction des différentes variétés de transactions et des marchés.
Analyse des risques
La stratégie de double rupture a une faible capacité à suivre la tendance à la chute de la tempête. La stratégie risque de manquer les meilleures positions lorsque la courte période et la longue période sont à la fois intenses.
Le mécanisme de vérification de la forme de la ligne K peut manquer certaines opportunités. Dans des cas extrêmes, la ligne K est souvent déformée, et le mécanisme de vérification peut conserver la stratégie et manquer certaines opportunités.
Les paramètres inappropriés peuvent également générer des signaux erronés. L’utilisateur doit sélectionner les paramètres de double percée et les paramètres de ligne K appropriés en fonction de la variété spécifique. Les paramètres inappropriés peuvent réduire considérablement l’efficacité de la stratégie.
Les risques mentionnés ci-dessus peuvent être améliorés et optimisés par des méthodes telles que l’ajustement de la combinaison de paramètres et la définition de conditions de stop-loss.
Direction d’optimisation
La deuxième vérification de la rupture est effectuée en combinant l’indicateur de volatilité. Par exemple, le signal de rupture émis lors de l’expression des bandes de Bollinger est de meilleure qualité.
Ajout d’un module de stop-loss. Un paramètre de stop-loss approprié permet de verrouiller les bénéfices et d’éviter les risques de manière proactive.
Optimiser les paramètres de double percée. Les paramètres peuvent être ajustés en fonction des caractéristiques de la variété telles que la fluctuation intraday, la fluctuation de la ligne de jour.
Optimiser les paramètres de vérification des lignes K. La vérification des lignes K à différents cycles et combinaisons de paramètres permet d’obtenir des résultats plus stables.
Résumer
La stratégie de double confirmation de rupture est une stratégie de rupture de ligne courte recommandée. L’utilisateur peut ajuster les paramètres correspondants en fonction de ses besoins pour obtenir de meilleurs résultats.
/*backtest
start: 2023-11-14 00:00:00
end: 2023-12-14 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("breakout ", overlay=true)
tim=input('1440')
sim=input('370')
out1 = request.security(syminfo.tickerid, tim, open)
out2 = request.security(syminfo.tickerid, sim, close)
plot(out1,color=red)
plot(out2,color=green)
length = input(20, title="BB Length")
mult = input(2.0,title="BB MultFactor")
lengthKC=input(20, title="KC Length")
multKC = input(1.5, title="KC MultFactor")
useTrueRange = input(true, title="Use TrueRange (KC)", type=bool)
// Calculate BB
source = close
basis = sma(source, length)
dev = multKC * stdev(source, length)
upperBB = basis + dev
lowerBB = basis - dev
// Calculate KC
ma = sma(source, lengthKC)
range1 = useTrueRange ? tr : (high - low)
rangema = sma(range1, lengthKC)
upperKC = ma + rangema * multKC
lowerKC = ma - rangema * multKC
sqzOn = (lowerBB > lowerKC) and (upperBB < upperKC)
sqzOff = (lowerBB < lowerKC) and (upperBB > upperKC)
noSqz = (sqzOn == false) and (sqzOff == false)
val = linreg(source - avg(avg(highest(high, lengthKC), lowest(low, lengthKC)),sma(close,lengthKC)),lengthKC,0)
bcolor = iff( val > 0,iff( val > nz(val[1]), lime, green),iff( val < nz(val[1]), red, maroon))
scolor = noSqz ? blue : sqzOn ? black : gray
//plot(val, color=bcolor, style=histogram, linewidth=4)
//plot(0, color=scolor, style=cross, linewidth=2)
// this section based on Almost Zero Lag EMA [LazyBear]
// Fast MA - type, length
matype = input(defval="HullMA", title="Fast MA Type: SMA, EMA, WMA, VWMA, SMMA, DEMA, TEMA, HullMA, TMA, ZEMA ( case sensitive )")
malength = input(defval=20, title="Moving Average Length", minval=1)
src = input(close,title="Moving average Source")
// Returns MA input selection variant, default to SMA if blank or typo.
variant(type, src, len) =>
v1 = sma(src, len) // Simple
v2 = ema(src, len) // Exponential
v3 = wma(src, len) // Weighted
v4 = vwma(src, len) // Volume Weighted
v5 = na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len // Smoothed
v6 = 2 * v2 - ema(v2, len) // Double Exponential
v7 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len) // Triple Exponential
v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) // Hull
ema1 = ema(src, len)
ema2 = ema(ema1, len)
v10 = ema1+(ema1-ema2) // Zero Lag Exponential
v11 = sma(sma(src,len),len) // Trianglular
// return variant, defaults to SMA if input invalid.
type=="EMA"?v2 : type=="WMA"?v3 : type=="VWMA"?v4 : type=="SMMA"?v5 : type=="DEMA"?v6 : type=="TEMA"?v7 : type=="HullMA"?v8 : type=="ZEMA"?v10 : type=="TMA"?v11 : v1
// Calculate selected MA and get direction of trend from it.
zlema= variant(matype,src,malength)
col = zlema > zlema[1] ? green : red
up = zlema > zlema[1] ? 1 : 0
down = zlema < zlema[1] ? 1 : 0
//plot(zlema,color=col, style=line, linewidth=4, transp=0)
// Find all Fractals.
// This section based on [RS]Fractal Levels by RicardoSantos
hidefractals = input(false)
hidelevels = input(false)
topfractal = high[2] > high[1] and high[2] > high and high[2] > high[3] and high[2] > high[4]
botfractal = low[2] < low[1] and low[2] < low and low[2] < low[3] and low[2] < low[4]
//plotshape(hidefractals ? na : topfractal, color=green, transp=0, style=shape.triangleup, location=location.abovebar, offset=-2, size=size.tiny)
//plotshape(hidefractals ? na : botfractal, color=red, transp=0, style=shape.triangledown, location=location.belowbar, offset=-2, size=size.tiny)
topfractals = topfractal ? high[2] : topfractals[1]
botfractals = botfractal ? low[2] : botfractals[1]
topfcolor = topfractals != topfractals[1] ? na : green
botfcolor = botfractals != botfractals[1] ? na : red
//plot(hidelevels ? na : topfractals, color=topfcolor, transp=0, linewidth=2)
//plot(hidelevels ? na : botfractals, color=botfcolor, transp=0, linewidth=2)
//
// This section based on Candlestick Patterns With EMA by rmwaddelljr
//
ufb = input(false, title="Use Fractal S/R Cross Patterns")
udc = input(true, title="Use Dark Cloud Cover Patterns" )
upl = input(true, title="Use Piecing Line Patterns" )
ube = input(true, title="Use Engulfing Candle Patterns" )
ubh = input(true, title="Use Harami Candle Patterns" )
upb = input(true, title="Use Defined PinBar Patterns")
pctP = input(66, minval=1, maxval=99, title="Directional PBars, % of Range of Candle the Long Wick Has To Be")
// This section based on CM_Price-Action-Bars by ChrisMoody
// Change the pin bar calculation, so can be used for market direction.
urpb= input(false, title="Use CM Price Action Reversal Pin Bars")
usb = input(false, title="Use CM Price Action Shaved Bars")
uob = input(false, title="Use CM Price Action Outside Bars")
uib = input(false, title="Use CM Price Action Inside Bars")
pctRP = input(72, minval=1, maxval=99, title="CM Reversal PBars, % of Range of Candle the Long Wick Has To Be")
pctS = input(5, minval=1, maxval=99, title="CM Shaved Bars, % of Range it Has To Close On The Lows or Highs")
pblb =input(6,minval=1,title="CM Reversal Pin Bar Lookback Length")
//
stnd = input(true, title="Alert Only Patterns Following Trend")
//
// Get MACD for Alert Filtering
umacd = input(true,title="Alert Only Patterns Confirmed by MACD")
fastMA = input(title="MACD Fast MA Length", defval = 12, minval = 2)
slowMA = input(title="MACD Slow MA Length", defval = 26, minval = 7)
signal = input(title="MACD Signal Length",defval=9,minval=1)
//
sgb = input(false, title="Check Box To Turn Bars Gray")
salc = input(true, title="Show Alert condition Dot")
//
[currMacd,_,_] = macd(close[0], fastMA, slowMA, signal)
[prevMacd,_,_] = macd(close[1], fastMA, slowMA, signal)
plotColor = currMacd > 0 ? currMacd > prevMacd ? green : red : currMacd < prevMacd ? red : green
// Show alert on this bar?
sbarUp = (not umacd or plotColor == green) and (not stnd or up)
sbarDn = (not umacd or plotColor == red) and (not stnd or down)
//PBar Percentages
pctCp = pctP * .01
//Shaved Bars Percentages
pctCs = pctS * .01
pctSPO = pctCs
//ma50 = sma(close,50)
range = high - low
///Reversal PinBars
pctCRp = pctRP * .01
pctCRPO = 1 - pctCRp
//
//pBarRUp= upb and open<close and open > high - (range * pctCRPO) and close > high - (range * pctCRPO) and low <= lowest(pblb) ? 1 : 0
//pBarRDn = upb and open>close and open < high - (range * pctCRp) and close < high-(range * pctCRp) and high >= highest(pblb) ? 1 : 0
pBarRUp = urpb and open > high - (range * pctCRPO) and close > high - (range * pctCRPO) and low <= lowest(pblb) ? 1 : 0
pBarRDn = urpb and open < high - (range * pctCRp) and close < high-(range * pctCRp) and high >= highest(pblb) ? 1 : 0
//Shaved Bars filter to the MA50 line
sBarUp = usb and (close >= (high - (range * pctCs))) // and close>ma50
sBarDown = usb and (close <= (low + (range * pctCs))) // and close<ma50
//Inside Bars
insideBarUp = uib and (high < high[1] and low > low[1])
insideBarDn = uib and (high < high[1] and low > low[1])
outsideBarUp= uob and (high > high[1] and low < low[1])
outsideBarDn= uob and (high > high[1] and low < low[1])
// PinBars representing possible change in trend direction
barcolor(pBarRUp ? green : na)
barcolor(pBarRDn ? red : na)
//Shaved Bars
barcolor(sBarDown ? fuchsia : na)
barcolor(sBarUp ? aqua : na)
//Inside and Outside Bars
barcolor((insideBarUp or insideBarDn)? yellow : na )
barcolor((outsideBarUp or outsideBarDn) ? orange : na )
//Long shadow PinBars supporting market direction
///PinBars Long Upper Shadow represent selling pressure
pBarDn = upb and open < high - (range * pctCp) and close < high - (range * pctCp)
//plotshape(pBarDn and (not pBarRUp and not pBarRDn), title= "Bearish Pin Bar", color=red, style=shape.arrowdown, text="Bearish\nPinBar")
///PinBars with Long Lower Shadow represent buying pressure
pBarUp = upb and open > low + (range * pctCp) and close > low + (range * pctCp)
//plotshape(pBarUp and (not pBarRUp and not pBarRDn), title= "Bullish Pin Bar", location=location.belowbar, color=green, style=shape.arrowup, text="Bullish\nPinBar")
dcc = udc and (close[1]>open[1] and abs(close[1]-open[1])/range[1]>=0.7 and close<open and abs(close-open)/range>=0.7 and open>=close[1] and close>open[1] and close<((open[1]+close[1])/2))
//plotshape(dcc, title="Dark Cloud Cover",text='DarkCloud\nCover',color=red, style=shape.arrowdown,location=location.abovebar)
ts = timestamp(2021,8,1,8,18)
pln= upl and (close[1]<open[1] and abs(open[1]-close[1])/range[1]>=0.7 and close>open and abs(close-open)/range>=0.7 and open<=close[1] and close<open[1] and close>((open[1]+close[1])/2))
//plotshape(pln, title="Piercieng Line",text="Piercing\nLine",color=green, style=shape.arrowup,location=location.belowbar)
beh = ubh and (close[1] > open[1] and open > close and open <= close[1] and low >= open[1] and open - close < close[1] - open[1] and (high < high[1] and low > low[1]))
//plotshape(beh and not dcc, title= "Bearish Harami", color=red, style=shape.arrowdown, text="Bear\nHarami")
blh = ubh and (open[1] > close[1] and close > open and close <= open[1] and high <= open[1] and close - open < open[1] - close[1] and (high < high[1] and low > low[1]))
//plotshape(blh and not pln, title= "Bullish Harami", location=location.belowbar, color=green, style=shape.arrowup, text="Bull\nHarami")
bee = ube and (close[1] > open[1] and close < open and close<=low[1] and open>= close[1])
//plotshape(bee, title= "Bearish Engulfing", color=red, style=shape.arrowdown, text="Bearish\nEngulf")
ble = ube and (close[1] < open[1] and close > open and close >= high[1] and open<=close[1])
//plotshape(ble, title= "Bullish Engulfing", location=location.belowbar, color=green, style=shape.arrowup, text="Bullish\nEngulf")
blfr = ufb and crossover(close,topfractals)
//plotshape(blfr and not ble and not blh and not sBarUp, title= "Bullish Fractal Cross", location=location.belowbar, color=green, style=shape.arrowup, text="Fractal\nCross")
befr = ufb and crossunder(close,botfractals)
//plotshape(befr and not bee and not beh and not sBarDown, title= "Bearish Fractal Cross", color=red, style=shape.arrowdown, text="Fractal\nCross")
//
//
bcolorDn = sbarDn and not(pBarRDn or pBarRUp or sBarDown or insideBarDn or outsideBarDn) and (beh or bee or dcc or befr or pBarDn)
bcolorUp = sbarUp and not(pBarRDn or pBarRUp or sBarUp or insideBarUp or outsideBarUp) and (blh or ble or pln or blfr or pBarUp)
barcolor(bcolorDn ? maroon : na)
barcolor(bcolorUp ? lime : na)
//
barcolor(sgb and close ? gray : na)
bullcnd = pBarUp or pln or blh or ble or blfr
bearcnd = pBarDn or dcc or beh or bee or befr
if(true )
longCondition = crossover(out2,out1)
if(longCondition or close > out1 and bullcnd and strategy.position_size == 0)
strategy.entry("long", strategy.long)
//if (pBarRUp) // and bullcnd) //and strategy.position_size == 0)
// strategy.entry("long", strategy.long)
shortCondition = crossunder(out2,out1)
if (shortCondition or close < out1 and bearcnd and strategy.position_size == 0)
strategy.entry("short", strategy.short)
//
barAlertDn = (sbarDn and (befr or bee or beh or pBarDn or dcc)) or (sbarDn and (insideBarDn or outsideBarDn or sBarDown)) or pBarRDn
barAlertUp = (sbarUp and (blfr or ble or blh or pBarUp or pln)) or (sbarUp and (insideBarUp or outsideBarUp or sBarUp)) or pBarRUp
barAlert = barAlertDn or barAlertUp
alertcondition(barAlert,title="CDLTRD Alert", message="CDLTRD Bar Alert")
// show only when alert condition is met and bar closed.
//plotshape(salc and barAlert[1],title= "Alert Indicator Closed", location=location.bottom, color=barAlertDn[1]?red:green, transp=0, style=shape.circle,offset=-1)
//EOF
//if (pBarRDn) //and bearcnd//and strategy.position_size == 0)
// strategy.entry("short", strategy.short)
//strategy.close("long", when = exit)
//strategy.close("short", when = exit2)
//exit3 = sqzOn and sqzOn[1] and sqzOn[2] and sqzOn[3] and sqzOn[4] and sqzOn[5] and sqzOn[6]
//strategy.close("long", when = exit3)
//strategy.close("short", when = exit3)
//else
// alertcondition(condition = time > t, message = "Time exceeded")